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This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of ...
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of thos...
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and deriva...
Hedging under arbitrage     Hedging  arbitrage       2010/10/19
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This hol...
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We ...
Arbitrage strategy     Arbitrage strategy  profit  financial instruments       2010/10/18
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium ...
In a semimartingale financial market model, it is shown that there is equivalence be-tween absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive ...
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...

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